Practical valuation of long-term guarantees in inactive financial markets
| Autor: | Norbert Quapp, Jens Winter, Nils Dennstedt, Thorsten Pauls, Holger Bartel, Jürgen Bierbaum, Karol Musialik, Tobias Dillmann, Wolfgang Engel, Marcus Keller |
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| Rok vydání: | 2014 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Solvency Actuarial science business.industry media_common.quotation_subject Mathematical finance Financial market Implied volatility Interest rate Economics Yield curve Statistics Probability and Uncertainty business Financial services media_common Valuation (finance) |
| Zdroj: | European Actuarial Journal. 4:101-124 |
| ISSN: | 2190-9741 2190-9733 |
| DOI: | 10.1007/s13385-014-0089-9 |
| Popis: | In this paper we address certain issues in the valuation of long-term (insurance) guarantees from a practical point of view. These issues arise, because markets are incomplete or inactive. We provide a general, arbitrage-free valuation approach in this context and discuss the following topics in more detail: extrapolation of interest rates, treatment of interest rate spreads and counter-cyclical measures in distorted markets. By deriving solutions from a practitioner’s point of view this paper aims to contribute to an effective regulation under Solvency II. Moreover, we hope to provide a starting point for an in-depth academic analysis of these problems. |
| Databáze: | OpenAIRE |
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